SIM:CLH4 | www.cqg.com

Algo Type

ArrivalPrice

Algo Symbol

SIM:CLH4

Algo CQG Symbol

CLE

Date - Time

01/31/2024 - 04:58

Buy / Sell

Sell

Quantity

50

Arrival Price

77.0250

Average Total

76.9616

Destination Price

76.9500

Slippage

0.0634

Slippage Sweep

0.0468

Sweep to Fill

77.0084

Algo Diagnostics

{ "customState": { "model_size": { "asDouble": 1 }, "sweep_to_fill": { "asDouble": 77.0084 }, "init_half_min_move": { "asDouble": 0.00847703722363613 }, "init_vol_normal": { "asDouble": 0.8063345527502243 }, "last_tactical_qty": { "asInt32": 1 }, "init_liq_cost": { "asDouble": 0.8300000000005525 }, "init_opt_t_minutes": { "asDouble": 3.83466999867194 }, "worst_opt_t_minutes": { "asDouble": 1.60321880287635 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.012690285151658053 }, "curr_cost_per_share": { "asDouble": 0.01719999999999402 }, "init_cost_per_share": { "asDouble": 0.01660000000001105 }, "pov_agg_limit": { "asInt32": 1 }, "slippage": { "asDouble": 0.06339999999998724 }, "drift": { "asDouble": -0.0014299224194321948 }, "curr_opt_t_minutes": { "asDouble": 1.6854532633576647 }, "mbo_max": { "asInt32": 1 }, "destination_price": { "asDouble": 76.94999999999999 }, "sweep_residual": { "asDouble": 0 }, "total_dollar": { "asDouble": 3848.080000000001 }, "order_time_minutes": { "asDouble": 10 }, "algo_status": { "asInt32": 4 }, "ready": { "asBool": true }, "total_sent": { "asInt32": 50 }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 247 }, "total_vol": { "asDouble": 1.6370989403195066 }, "total_filled": { "asInt32": 50 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 0.859999999999701 }, "arrival_price": { "asDouble": 77.025 }, "avg_total": { "asDouble": 76.96160000000002 }, "daily_vol_normal": { "asDouble": 1.2070980853432942 }, "total_drift": { "asDouble": 0.009897841171926233 }, "slippage_sweep": { "asDouble": 0.046799999999976194 }, "last_aggressive_qty": { "asInt32": 1 }, "economic_model": { "asInt32": 0 }, "init_min_duration": { "asDouble": 0 }, "n_kids": { "asInt32": 47 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 } } }

Fills Array

Source URL

Optimistic

Computed diagnostics AP

algo_status: 4<br />arrival_price: 77.025<br />avg_total: 76.9616<br />curr_cost_per_share: 0.017199999999994<br />curr_half_min_move: 0.012690285151658<br />curr_liq_cost: 0.8599999999997<br />curr_opt_t_minutes: 1.6854532633577<br />daily_vol_normal: 1.2070980853433<br />destination_price: 76.95<br />drift: -0.0014299224194322<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.016600000000011<br />init_drift: 0<br />init_half_min_move: 0.0084770372236361<br />init_liq_cost: 0.83000000000055<br />init_min_duration: 0<br />init_opt_t_minutes: 3.8346699986719<br />init_vol_normal: 0.80633455275022<br />last_aggressive_qty: 1<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 1<br />n_kids: 47<br />order_time_minutes: 10<br />pov_agg_limit: 1<br />ready: 1<br />seconds_spent: 247<br />slip_toler: 0<br />slippage: 0.063399999999987<br />slippage_sweep: 0.046799999999976<br />sweep_residual: 0<br />sweep_to_fill: 77.0084<br />total_dollar: 3848.08<br />total_drift: 0.0098978411719262<br />total_filled: 50<br />total_sent: 50<br />total_vol: 1.6370989403195<br />worst_opt_t_minutes: 1.6032188028764

Computed diagnostics VWAP

aggressive_pct: <br />algo_status: 4<br />arrival_price: 77.025<br />avg_total: 76.9616<br />destination_price: 76.95<br />market_vwap: <br />n_kids: 47<br />slippage: 0.063399999999987<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 3848.08<br />total_filled: 50<br />total_sent: 50

Computed Fills Array AP

<table class="table table-responsive table-condensed table-algo-analytics"><thead><tr><th class="active">Timestamp</th><th class="active">Security</th><th class="active">Side</th><th class="active">LastShares</th><th class="active">LastPrice</th><th class="active">Aggressor</th></tr></thead><tbody><tr>
<td>2024-01-31T04:54:13.976</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:54:22.078</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:54:22.078</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:54:24.22</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:54:24.22</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:54:33.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:54:33.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:54:48.587</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:54:53.679</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:55:28.031</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.032</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.032</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.032</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.075</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.075</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.075</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.97</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.97</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.97</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:20.087</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.088</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.088</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.088</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.088</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.089</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.089</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.089</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.089</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.09</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.09</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.123</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.123</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr></tbody></table>

Computed Fills Array VWAP

<table class="table table-responsive table-condensed table-algo-analytics"><thead><tr><th class="active">Timestamp</th><th class="active">Security</th><th class="active">Side</th><th class="active">LastShares</th><th class="active">LastPrice</th><th class="active">Aggressor</th></tr></thead><tbody><tr>
<td>2024-01-31T04:54:13.976</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77.02</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:54:22.078</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:54:22.078</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77.01</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:54:24.22</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:54:24.22</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>3</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:54:33.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:54:33.487</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>77</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:54:48.587</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>2</td>
<td>76.98</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:54:53.679</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.97</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:55:28.031</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.032</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.032</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.032</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.075</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.075</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.075</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.076</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.97</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.97</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.97</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:55:28.077</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.96</td>
<td>Aggressive</td>
</tr><tr>
<td>2024-01-31T04:58:20.087</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.088</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.088</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.088</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.088</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.089</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.089</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.089</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.089</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.09</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.09</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.122</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.123</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr><tr>
<td>2024-01-31T04:58:20.123</td>
<td>SIM:CLH4</td>
<td>Sell</td>
<td>1</td>
<td>76.94</td>
<td>Passive</td>
</tr></tbody></table>

Computed Average Total

76.96

Computed VWAP Slippage

0.00

Computed Total Filled

50.00

Algo Model

Optimistic

Computed Liquidity Cost

0.02

Computed Drift

0.00

Computed Seconds Spent

247.00

Computed Volatility

1.21